From 0f3e3d206b51300b953e06674104af2ae23dc786 Mon Sep 17 00:00:00 2001 From: Charles Young Date: Thu, 4 Mar 2021 22:47:42 +0800 Subject: [PATCH] Update __init__.py. --- qlib/model/riskmodel/__init__.py | 7 +++++++ qlib/model/riskmodel/base.py | 4 ---- qlib/portfolio/__init__.py | 2 ++ qlib/portfolio/optimizer/__init__.py | 6 ++++++ qlib/portfolio/optimizer/base.py | 13 +++++++++++++ qlib/portfolio/optimizer/optimizer.py | 13 ++----------- 6 files changed, 30 insertions(+), 15 deletions(-) diff --git a/qlib/model/riskmodel/__init__.py b/qlib/model/riskmodel/__init__.py index e69de29bb..05af6b7d3 100644 --- a/qlib/model/riskmodel/__init__.py +++ b/qlib/model/riskmodel/__init__.py @@ -0,0 +1,7 @@ +# Copyright (c) Microsoft Corporation. +# Licensed under the MIT License. + +from .base import RiskModel +from .poet import POETCovEstimator +from .shrink import ShrinkCovEstimator +from .structured import StructuredCovEstimator diff --git a/qlib/model/riskmodel/base.py b/qlib/model/riskmodel/base.py index d5b009ccc..02ab8c2fb 100644 --- a/qlib/model/riskmodel/base.py +++ b/qlib/model/riskmodel/base.py @@ -7,10 +7,6 @@ from typing import Union from qlib.model.base import BaseModel -from qlib.model.riskmodel_poet import POETCovEstimator -from qlib.model.riskmodel_shrink import ShrinkCovEstimator -from qlib.model.riskmodel_structured import StructuredCovEstimator - class RiskModel(BaseModel): """Risk Model diff --git a/qlib/portfolio/__init__.py b/qlib/portfolio/__init__.py index e69de29bb..139597f9c 100644 --- a/qlib/portfolio/__init__.py +++ b/qlib/portfolio/__init__.py @@ -0,0 +1,2 @@ + + diff --git a/qlib/portfolio/optimizer/__init__.py b/qlib/portfolio/optimizer/__init__.py index e69de29bb..5080b9a46 100644 --- a/qlib/portfolio/optimizer/__init__.py +++ b/qlib/portfolio/optimizer/__init__.py @@ -0,0 +1,6 @@ +# Copyright (c) Microsoft Corporation. +# Licensed under the MIT License. + +from .base import BaseOptimizer +from .optimizer import PortfolioOptimizer +from .enhanced_indexing import EnhancedIndexingOptimizer diff --git a/qlib/portfolio/optimizer/base.py b/qlib/portfolio/optimizer/base.py index e69de29bb..502443869 100644 --- a/qlib/portfolio/optimizer/base.py +++ b/qlib/portfolio/optimizer/base.py @@ -0,0 +1,13 @@ +# Copyright (c) Microsoft Corporation. +# Licensed under the MIT License. + +import abc + + +class BaseOptimizer(abc.ABC): + """ Construct portfolio with a optimization related method """ + + @abc.abstractmethod + def __call__(self, *args, **kwargs) -> object: + """ Generate a optimized portfolio allocation """ + pass diff --git a/qlib/portfolio/optimizer/optimizer.py b/qlib/portfolio/optimizer/optimizer.py index 17a7fc30a..3daa98af3 100644 --- a/qlib/portfolio/optimizer/optimizer.py +++ b/qlib/portfolio/optimizer/optimizer.py @@ -1,23 +1,14 @@ # Copyright (c) Microsoft Corporation. # Licensed under the MIT License. -import abc + import warnings import numpy as np import pandas as pd import scipy.optimize as so from typing import Optional, Union, Callable, List -from qlib.portfolio.enhanced_indexing import EnhancedIndexingOptimizer - - -class BaseOptimizer(abc.ABC): - """ Construct portfolio with a optimization related method """ - - @abc.abstractmethod - def __call__(self, *args, **kwargs) -> object: - """ Generate a optimized portfolio allocation """ - pass +from qlib.portfolio.optimizer import BaseOptimizer class PortfolioOptimizer(BaseOptimizer):